Time is on Your Side - SPX Calendars

The prodigal son returns

 

Gentlemen,

I used that term loosely, as some of you have hardly acted in that fashion, the unearthing of a “scandal” in my past causing this Forum to be used for matters unrelated to the discussion of options. Why this is relevant is beyond me, but there it is, and I shall address it. Those who have posted re a now 16 year old case have revealed an palpably perverse delight in elucidating my misfortune. What that says about them I leave for readers to decide; who knows, maybe they also beat their wives and kick small dogs. In any event, I have no wish to dredge up the circumstances of case, as anyone with an ounce of humanity can appreciate, other than to say that there are always two sides to every story, and the information available on the internet presents only the Maryland Attorney General’s perspective on the allegations. Suffice to say, there was enough against me to enter a plea agreement, as all my assets had been seized and mounting a credible defence without funds to fight the charges, seemed futile. I ended up serving 4.5 years in durance vile, most of it in a Medium Security prison, sharing a 7’ by 11’ cell with a drug dealer in for murder: an experience I can assure you that I would not recommend to my worst enemy. I received no breaks such as early work release or home detention and was set free in July 1999 on Mandatory Parole/Probation. I finished that portion of my sentence as a law abiding citizen and have been one ever since. It might be of interest to you all to know that the SEC (originator of the case) in 1996 settled their charges against me “without me admitting or denying guilt” and I am allowed to participate in any legitimate commercial activity, including the securities business, as long as I do not violate the conditions of Securities Acts of 1933 and 1934, as amended. This I have done, am doing, and will do, in future, as instructed. So, accusing me of “still scamming in your 70's", is not only inaccurate, it’s probably actionable. Summing up, I’ve paid my debt to society, my transgressions have ruined my life and I have no one to blame but myself, but the past is the past, not the present. For those who believe in retribution, that ‘pound of flesh’ has been taken, and for those who believe that atonement should allow a man to rehabilitate himself, well, that’s where I am, at present. For those who instead think that I should carry this cross to Calvary, well to them I say, OK, but remember, I still have my First Amendment rights, so all I ask on this Forum, or on any publication, is to weigh the material on its merits, not on the mistakes made by the source long ago. Don’t shoot the messenger, just because you may differ with the conclusions drawn.

Thank you, and good trading to all.

Josh Fry

 

Yeah, but the messenger stole $6MM and pissed it on a horse stable and gambled-away the rest in AC. Despite the pathetic admission; don't you think that after 76 years it's time to learn wtf you're doing? I doubt you'll get another shot at 7-figure theft.

 

I am in the camp of "Past behavior is the BEST predictor of future behavior"

You have absolutely NO business in the business of advising or "investing" for clients. Your words are that of a sociopath who has no concern for anyone but themselves.

There are many ways to "atone" for your crimes and BTW they ARE crimes....NOT...... misfortunes. The best way is to get a job or volunteer in a capacity that actually helps others.

 

OKay folks, you win. There's no sense me continuing on in these Forums. I've had enough grief in my life to this point. There's no sense inviting more. You're judge, jury and executioner. For any of you who don't subscribe to the vituperation, thank you. For the others, have nice lives, secure in your sactimony.

Josh

 

Thread with bad premise, poor content, but brilliant conclusion leading to a valuable lesson about the life and Internet perils.

 

Amen to these sentiments.

 

As part of the plea agreement, Fry will be prohibited from trading in stocks and securities and from working as a financial adviser. He also will be ordered to pay back $3.9 million still owed to his investors, Mr. Romano said.

http://articles.baltimoresun.com/1995-08-02/news/1995214066_1_joshua-fry-romano-investors

 

This is by far one of the most interesting discussions on options trading I have ever seen. Really rich on personal detail.

In any case, can we get back to the point in question - OTM calendars. Does anyone use some sort of model for the responce of forward implied vol to the change in realized vol?

PS. I'd be happy to give my real name and place of employment via private message - don't really have any serious scandals in the past but prefer to keep it private.

 

Yes, I use a form of assymetric GARCH. Here is the equation:

^h[sub]t[/sub][sup]2[/sup] = a + b*e[sub]t-1[/sub][sup]2[/sup] + ispositive(h[sub]t-1[/sub])*c*h[sub]t-1[/sub][sup]2[/sup] + isnegative(h[sub]t-1[/sub])*d*|h[sub]t-1[/sub]| + e

Unfortunately ET does not seem to support subscript or superscript tags, so it might be a little hard to read.

I fit the formula via maximum likelihood.

If the model is correctly specified, the residuals (the e's), or at least the standardized residuals, would have zero mean and unit variance and would be IID. Unfortunately they fail that test.

My forecast one month vol is 26%. My instantaneous forecast (Monday) is 21%.

I use 15 minute bar close to close and ORATS-style breakeven hedged-straddle method for estimating latent (distribution realized is drawn from) vol.


edit: I misread your question. The above is how I estimate forward realized vol, not forward IV. Occasionally I will regress IV on my one month forecasts, mostly for an estimate of the IV bias. I also use 30 day ATM IV, skew (25d RR), and curvature (25d fly) as inputs for directional trading models.